Power steering pump... Mine does it too... When you put the trans into drive it puts a load on the motor and it pulls down a bit, that would account for a difference in sound, also if you move the steering wheel a bit side to side you will notice the pitch of the noise or the loudness of it changes.
Don't worry about it.... If you haven't done it in a while suction out the power steering reservoir with a turkey baster, while the engine is off, and then fill with fresh fluid, start it and take it for a short drive making plenty a lot of turns, i drove around town for like ten minutes turning here and there, then come back and shut it off and suction it out and refill again. The goal is to just work out a lot of the old fluid. This is the easier way but doesnt get it all out. You can disconnect the line from the pump and flush it out as well but its more work, it could be worth it though.
Mine was really loud until i swapped out as much fluid as i could doing that. Come summer time i might do the full flush by removing the line. My wife's PT does the same thing in the cold, i did the same thing to it and it helped, but it didn't totally quiet it down. Again on the warmer days or after it warms up no noise at all. My mother in laws Dodge Caravan sounds like this also, and my neighbors Dodge Ram. I'm nearly convinced its normal for Dodge/Chrysler power steering pumps in cold weather like we get here.